The quests are a great way to gather resources and exp and level up your character. You can check the available quests in the quest log, and also take a look at the rewards they give. If you are in dire need of something rewarded from a quest make sure you go and do it right away! Most of these quests revolve around your territory and building upgrades, but also on training troops and capturing lands. Since some upgrades will take time and you can't always speed them up, I suggest going to do other quests when that happens. Like that you can train some troops while your buildings are upgrading and even learn a new skill or two.